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Richard T. Baillie

Personal Details

First Name:Richard
Middle Name:T.
Last Name:Baillie
Suffix:
RePEc Short-ID:pba423
http://www.msu.edu/user/baillie
Terminal Degree:1978 London School of Economics (LSE) (from RePEc Genealogy)

Affiliation

(50%) Economics Department
Michigan State University

East Lansing, Michigan (United States)
http://econ.msu.edu/
RePEc:edi:edmsuus (more details at EDIRC)

(50%) School of Economics and Finance
Queen Mary University of London

London, United Kingdom
http://www.econ.qmul.ac.uk/
RePEc:edi:deqmwuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Editorship

Working papers

  1. Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim, 2022. "A New Test for Market Efficiency and Uncovered Interest Parity," NBER Working Papers 30638, National Bureau of Economic Research, Inc.
  2. Richard T. Baillie & Owen F. Humpage & William P. Osterberg, 1999. "Intervention as information: a survey," Working Papers (Old Series) 9918, Federal Reserve Bank of Cleveland.
  3. Richard T. Baillie & William P. Osterberg, 1998. "Central bank intervention and overnight uncovered interest rate parity," Working Papers (Old Series) 9823, Federal Reserve Bank of Cleveland.
  4. Baillie, R.T. & Baltagi, B.H., 1994. "Prediction from the Regression Model with one-way Error Components," Papers 9405, Michigan State - Econometrics and Economic Theory.
  5. Baillie, R.T. & Osterberg, W.P., 1993. "Central Bank Intervention and Risk in the Forward Premium," Papers 9109, Michigan State - Econometrics and Economic Theory.
  6. Baillie, R.T. & Bollerslev, T., 1993. "Cointegration, Fractional Cointegration, and Exchange RAte Dynamics," Papers 9103, Michigan State - Econometrics and Economic Theory.
  7. Baillie, R.T. & Bollerslev, T., 1993. "The Long Memory of the Foreward Premium," Papers 9203, Michigan State - Econometrics and Economic Theory.
  8. Richard T. Baillie & Owen F. Humpage, 1992. "Post-Louvre intervention: did target zones stabilize the dollar?," Working Papers (Old Series) 9203, Federal Reserve Bank of Cleveland.
  9. Tieslau, M.A. & Schmidt, P. & Baillie, R.T., 1992. "A Generalized Method of Moments Estimator for Long-Memory Processes," Papers 9247, Tilburg - Center for Economic Research.
  10. Baillie, R.T. & Chung, C,F. & Tieslau, M.A., 1992. "The Long Memory and Variability of Inflation : A Reappraisal of the Friedman Hypothesis," Papers 9246, Tilburg - Center for Economic Research.
  11. Richard T. Baillie & William P. Osterberg, 1991. "The risk premium in forward foreign exchange markets and G-3 central bank intervention: evidence of daily effects, 1985-1990," Working Papers (Old Series) 9109, Federal Reserve Bank of Cleveland.
  12. Baillie, R.T. & Bollerslev, T. & Redfearn, M., 1991. "Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange," Papers 9152, Tilburg - Center for Economic Research.
  13. Baillie, R.T. & Bollerslev, T. & Redfearn, M.R., 1991. "Bear Squeezes in the Hyperinflation 1920s Foreign Exchange," Papers 9006, Michigan State - Econometrics and Economic Theory.
  14. Baillie, R.T. & Pecchenino, R.A., 1991. "The Search for Equilibrium Relationships in International Finance : The Case of the Monetary Model," Papers 9003, Michigan State - Econometrics and Economic Theory.
  15. Baillie, R.T. & Bollerslev, R.T., 1990. "Prediction In Dynamic Models With Time Dependent Conditional Variances," Papers 8815, Michigan State - Econometrics and Economic Theory.
  16. Baillie, R.T., 1989. "Commodity Prices And Aggregate Inflation: Would A Commodity Price Rule Be Worthwhile?," Papers 8808, Michigan State - Econometrics and Economic Theory.
  17. Baillie, R.T. & Myers, R.J., 1989. "Modeling Commodity Price Distribution And Estimating The Optimal Futures Hedge," Papers 8814, Michigan State - Econometrics and Economic Theory.
  18. Baillie, R.T. & Bollerslev, T., 1989. "Intra Day And Inter Market Volatility In Foreign Exchange Rates," Papers 8811, Michigan State - Econometrics and Economic Theory.
  19. Baillie, R.T. & Degennaro, R.P., 1988. "Stock Returns And Volatility," Papers 8803, Michigan State - Econometrics and Economic Theory.
  20. Baillie, R.T. & Bollerslev, T., 1988. "Further Results On Unit Roots And The Cointegrability Of Daily Spot And Forward Exchange Rates," Papers 8715, Michigan State - Econometrics and Economic Theory.
  21. Baillie, R.T. & Degennaro, R., 1988. "The Impact Of Delivery Terms On Stock Return Volatility," Papers 8804, Michigan State - Econometrics and Economic Theory.
  22. Baillie, R.T., 1988. "Econometric Tests Of Rationality And Market Efficiency," Papers 8805, Michigan State - Econometrics and Economic Theory.
    repec:qmw:qmwecw:wp593 is not listed on IDEAS
    repec:qmw:qmwecw:wp543 is not listed on IDEAS
    repec:qmw:qmwecw:wp594 is not listed on IDEAS
    repec:qmw:qmwecw:wp570 is not listed on IDEAS
    repec:qmw:qmwecw:wp528 is not listed on IDEAS

Articles

  1. Baillie, Richard T. & Kilic, Rehim, 2006. "Do asymmetric and nonlinear adjustments explain the forward premium anomaly?," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 22-47, February.
  2. Baillie, Richard T. & Cecen, Aydin A. & Erkal, Cahit & Han, Young-Wook, 2004. "Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(5), pages 401-418, December.
  3. Baillie, Richard T. & Chung, Sang-Kuck, 2002. "Modeling and forecasting from trend-stationary long memory models with applications to climatology," International Journal of Forecasting, Elsevier, vol. 18(2), pages 215-226.
  4. Baillie, Richard T & Bollerslev, Tim, 2002. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 60-68, January.
  5. Baillie, Richard T. & Geoffrey Booth, G. & Tse, Yiuman & Zabotina, Tatyana, 2002. "Price discovery and common factor models," Journal of Financial Markets, Elsevier, vol. 5(3), pages 309-321, July.
  6. Baillie, R. & Crato, N. & Ray, B. K., 2002. "Introduction," International Journal of Forecasting, Elsevier, vol. 18(2), pages 163-165.
  7. Baillie, Richard T & Han, Young-Wook, 2001. "Testing Target-Zone Models Using Efficient Method of Moments: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(3), pages 273-276, July.
  8. Baillie, Richard T., 2000. "Central bank intervention," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(3-4), pages 225-228, December.
  9. Baillie, Richard T. & Humpage, Owen F. & Osterberg, William P., 2000. "Intervention from an information perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(3-4), pages 407-421, December.
  10. Baillie, Richard T. & Bollerslev, Tim, 2000. "The forward premium anomaly is not as bad as you think," Journal of International Money and Finance, Elsevier, vol. 19(4), pages 471-488, August.
  11. Baillie, Richard T. & Osterberg, William P., 2000. "Deviations from daily uncovered interest rate parity and the role of intervention," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(3-4), pages 363-379, December.
  12. Baillie, Richard T, 1998. "Real and Spurious Long-Memory Properties of Stock-Market Data: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 273-276, July.
  13. Baillie, Richard T. & Girardin, Eric & Lothian, James R. & McFarland, James W., 1997. "Papers in honor of Patrick C. McMahon," Journal of International Money and Finance, Elsevier, vol. 16(6), pages 879-883, December.
  14. Baillie, Richard T. & Osterberg, William P., 1997. "Why do central banks intervene?," Journal of International Money and Finance, Elsevier, vol. 16(6), pages 909-919, December.
  15. Baillie, Richard T. & P. Osterberg, William, 1997. "Central bank intervention and risk in the forward market," Journal of International Economics, Elsevier, vol. 43(3-4), pages 483-497, November.
  16. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
  17. Baillie, Richard T. & King, Maxwell L., 1996. "Editors' introduction: Fractional differencing and long memory processes," Journal of Econometrics, Elsevier, vol. 73(1), pages 1-3, July.
  18. Baillie, Richard T & Chung, Ching-Fan & Tieslau, Margie A, 1996. "Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(1), pages 23-40, Jan.-Feb..
  19. Tieslau, Margie A. & Schmidt, Peter & Baillie, Richard T., 1996. "A minimum distance estimator for long-memory processes," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 249-264.
  20. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
  21. Baillie, Richard T & Bollerslev, Tim, 1994. "Cointegration, Fractional Cointegration, and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 737-745, June.
  22. Baillie, Richard T & Bollerslev, Tim, 1994. "The long memory of the forward premium," Journal of International Money and Finance, Elsevier, vol. 13(5), pages 565-571, October.
  23. Baillie, Richard T. & Palm, Franz C. & Pfann, Gerard A. & Vermaelen, Theo J. & Wolff, Christian C. P., 1993. "Statement by the editors," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 1-2, June.
  24. Chung, Ching-Fan & Baillie, Richard T, 1993. "Small Sample Bias in Conditional Sum-of-Squares Estimators of Fractionally Integrated ARMA Models," Empirical Economics, Springer, vol. 18(4), pages 791-806.
  25. Baillie, Richard T. & Bollerslev, Tim & Redfearn, Michael R., 1993. "Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange," Journal of International Money and Finance, Elsevier, vol. 12(5), pages 511-521, October.
  26. Baillie, Richard T. & Bollerslev, Tim, 1992. "Prediction in dynamic models with time-dependent conditional variances," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 91-113.
  27. Baillie, Richard T & Myers, Robert J, 1991. "Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(2), pages 109-124, April-Jun.
  28. Baillie, Richard T. & Pecchenino, Rowena A., 1991. "The search for equilibrium relationships in international finance: the case of the monetary model," Journal of International Money and Finance, Elsevier, vol. 10(4), pages 582-593, December.
  29. Baillie, Richard T. & Bollerslev, Tim, 1990. "A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets," Journal of International Money and Finance, Elsevier, vol. 9(3), pages 309-324, September.
  30. Baillie, Richard T, 1989. "Forecast Master: A Review," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(3), pages 305-307, July-Sept.
  31. Baillie, Richard T. & Selover, David D., 1987. "Cointegration and models of exchange rate determination," International Journal of Forecasting, Elsevier, vol. 3(1), pages 43-51.
  32. Baillie, Richard T., 1987. "Inference in dynamic models containing 'surprise' variables," Journal of Econometrics, Elsevier, vol. 35(1), pages 101-117, May.
  33. Alexander, Don & Baillie, Richard T. & Thomas, Lee, 1987. "Introduction," International Journal of Forecasting, Elsevier, vol. 3(1), pages 1-1.
  34. Baillie, Richard T., 1986. "Handbook of econometrics : Zvi Griliches and Michael D. Intriligator, eds., vol. 1 (North Holland, Amsterdam, 1983) pp. 771," International Journal of Forecasting, Elsevier, vol. 2(3), pages 393-394.
  35. Baillie, Richard T. & McMahon, Patrick C., 1986. "Estimation and testing of the term structure of the forward premium under rational expectations," Journal of Macroeconomics, Elsevier, vol. 8(3), pages 387-391.
  36. Bailey, Ralph W & Baillie, Richard T & McMahon, Patrick C, 1984. "Interpreting Econometric Evidence on Efficiency in the Foreign Exchange Market," Oxford Economic Papers, Oxford University Press, vol. 36(1), pages 67-85, March.
  37. Baillie, Richard T & Lippens, Robert E & McMahon, Patrick C, 1983. "Testing Rational Expectations and Efficiency in the Foreign Exchange Market," Econometrica, Econometric Society, vol. 51(3), pages 553-563, May.
  38. Baillie, Richard T., 1983. "Asymptotic tests on moving average representation coefficients with an application to innovations on spot and forward exchange rates," Economics Letters, Elsevier, vol. 13(2-3), pages 201-206.
  39. Baillie, Richard T, 1981. "Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors," Econometrica, Econometric Society, vol. 49(5), pages 1331-1337, September.
  40. Baillie, R T & McMahon, P C, 1981. "Interest Rates and Investment in West Germany," Empirical Economics, Springer, vol. 6(1), pages 1-9.
  41. Baillie, Richard T., 1980. "Predictions from ARMAX models," Journal of Econometrics, Elsevier, vol. 12(3), pages 365-374, April.
  42. Baillie, Richard T. & McMahon, Patrick C. & Smyth, David J., 1980. "Testing the permanent income hypothesis using a general rational lag formulation," Economics Letters, Elsevier, vol. 5(1), pages 39-43.

Editorship

  1. Journal of Empirical Finance, Elsevier.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Distinct Works, Weighted by Simple Impact Factor
  3. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  4. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  5. Number of Citations
  6. Number of Citations, Discounted by Citation Age
  7. Number of Citations, Weighted by Simple Impact Factor
  8. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  9. Number of Citations, Weighted by Recursive Impact Factor
  10. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  11. Number of Citations, Weighted by Number of Authors
  12. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  13. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  14. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  15. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  16. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  17. h-index
  18. Number of Registered Citing Authors
  19. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  20. Number of Journal Pages, Weighted by Simple Impact Factor
  21. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  22. Euclidian citation score
  23. Closeness measure in co-authorship network
  24. Betweenness measure in co-authorship network
  25. Wu-Index
  26. Record of graduates

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (4) 2006-09-23 2007-03-24 2007-04-09 2022-11-28
  2. NEP-ETS: Econometric Time Series (4) 2005-05-14 2006-09-23 2007-03-24 2007-04-09
  3. NEP-FMK: Financial Markets (2) 2005-07-18 2006-09-23
  4. NEP-IFN: International Finance (2) 2005-05-14 2006-09-23
  5. NEP-CMP: Computational Economics (1) 2005-05-14
  6. NEP-MST: Market Microstructure (1) 2007-04-09

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